JPMorgan Chase
Financial Company LLC
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May 2019
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Pricing Supplement
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Registration Statement Nos. 333-222672
and 333-222672-01
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Dated May 15, 2019
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Filed pursuant to Rule 424(b)(2)
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Structured
Investments
Opportunities
in International Equities
Trigger
PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged
Upside Securities
SM
Principal at Risk Securities
Fully
and Unconditionally Guaranteed by JPMorgan Chase & Co.
The Trigger PLUS will pay no
interest and do not guarantee any return of your principal at maturity. At maturity, if the underlying index has
appreciated
in value, investors will receive the stated principal amount of their investment plus leveraged upside performance of the
underlying index. If the underlying index has declined in value but the final index value is greater than or equal to the trigger
level, investors will receive the stated principal amount of the Trigger PLUS at maturity. However, if the underlying index has
declined
in value so that the final index value is less than the trigger level, at maturity investors will lose a significant
portion or all of their investment, resulting in a 1% loss for every 1% decline in the closing level of the underlying index over
the term of the Trigger PLUS. The Trigger PLUS are for investors who seek an equity-based return and who are willing to risk their
principal and forgo current income in exchange for the leverage feature. At maturity, an investor will receive an amount in cash
that may be greater than, equal to, or less than the stated principal amount based upon the closing level of the underlying index
on the valuation date
.
The Trigger PLUS are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company
LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase &
Co., issued as part of JPMorgan Financial’s Medium-Term Notes, Series A, program.
Any payment on the Trigger PLUS is
subject to the credit risk of JPMorgan Financial, as issuer of the Trigger PLUS, and the credit risk of JPMorgan Chase & Co.,
as guarantor of the Trigger PLUS. The investor may lose some or all of the stated principal amount of the Trigger PLUS.
FINAL
TERMS
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Issuer:
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JPMorgan Chase Financial Company
LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co.
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Guarantor:
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JPMorgan Chase & Co.
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Underlying
index:
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S&P 500
®
Index
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Aggregate
principal amount:
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$8,582,800
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Payment
at maturity:
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If the final index value is
greater
than
the initial index value, for each $10 stated principal amount Trigger PLUS:
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$10 + leveraged
upside payment
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If the final index value is
less
than or equal to
the initial index value but is greater than or equal to the trigger level, for each $10 stated principal
amount Trigger PLUS:
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$10
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If the final index value is
less
than
the trigger level, for each $10 stated principal amount Trigger PLUS:
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$10 ×
index performance factor
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This amount will be less than
the stated principal amount of $10 per Trigger PLUS and will represent a loss of more than 35%, and possibly all, of your
investment.
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Leveraged
upside payment:
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$10 × leverage factor ×
index percent increase
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Index
percent increase:
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(final index value – initial
index value) / initial index value
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Initial
index value:
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The closing level of the underlying
index on the pricing date, which was 2,850.96
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Final
index value:
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The closing level of the underlying
index on the valuation date
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Trigger
level:
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1,853.124, which is 65% of the
initial index value
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Leverage
factor:
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126.25%
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Index
performance factor:
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final index value / initial index
value
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Stated
principal amount:
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$10 per Trigger PLUS
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Issue
price:
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$10 per Trigger PLUS (see “Commissions
and issue price” below)
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Pricing
date:
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May 15, 2019
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Original
issue date (settlement
date):
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May 20, 2019
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Valuation
date:
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May 15, 2024, subject to postponement
in the event of certain market disruption events and as described under “General Terms of Notes — Postponement
of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying
(Other Than a Commodity Index)” in the accompanying product supplement
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Maturity
date:
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May 20, 2024, subject to postponement in the event
of certain market disruption events and as described under “General Terms of Notes — Postponement of a Payment
Date” in the accompanying product supplement
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CUSIP
/ ISIN:
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48132E869 / US48132E8690
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Listing:
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The Trigger PLUS will not be listed
on any securities exchange.
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Agent:
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J.P. Morgan Securities LLC (“JPMS”)
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Commissions
and issue price:
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Per
Trigger PLUS
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Price
to public
(1)
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Fees
and commissions
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Proceeds
to issuer
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$10.00
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$0.25
(2)
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$9.709
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$0.041
(3)
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Total
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$8,582,800.00
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$249,759.48
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$8,333,040.52
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(1)
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See
“Additional Information about the Trigger PLUS — Supplemental use of proceeds
and hedging” in this document for information about the components of the price
to public of the Trigger PLUS.
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(2)
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JPMS,
acting as agent for JPMorgan Financial will pay all of the selling commissions of $0.25
per $10 stated principal amount Trigger PLUS it receives from us to Morgan Stanley Smith
Barney LLC (“Morgan Stanley Wealth Management”). See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
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(3)
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Reflects
a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates
of $0.041 for each $10 stated principal amount Trigger PLUS.
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The estimated value of the
Trigger PLUS on the pricing date was $9.631 per $10 stated principal amount Trigger PLUS. See “Additional Information about
the Trigger PLUS — The estimated value of the Trigger PLUS” in this document for additional information.
Investing in the Trigger PLUS
involves a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement, “Risk
Factors” beginning on page US-1 of the accompanying underlying supplement and “Risk Factors” beginning on page
5 of this document.
Neither the Securities and Exchange
Commission (the “SEC”) nor any state securities commission has approved or disapproved of the Trigger PLUS or passed
upon the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement
and prospectus. Any representation to the contrary is a criminal offense.
The Trigger PLUS are not bank
deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations
of, or guaranteed by, a bank.
You should read this document
together with the related product supplement, underlying supplement, prospectus supplement and prospectus, each of which can be
accessed via the hyperlinks below. Please also see “Additional Information about the Trigger PLUS” at the end of this
document.
Product supplement
no. MS-1-I dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004523/dp87526_424b2-ms1i.pdf
Underlying supplement
no. 1-I dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004514/crt_dp87766-424b2.pdf
Prospectus supplement and prospectus, each dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004508/dp87767_424b2-ps.pdf
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Investment Summary
Trigger
Performance Leveraged Upside Securities
Principal at Risk
Securities
The Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024 (the “Trigger PLUS”) can be used:
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§
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As an alternative to direct exposure to the underlying index that enhances returns for any positive performance of the underlying
index.
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§
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To potentially achieve similar levels of upside exposure to the underlying index as a direct investment, while using fewer
dollars by taking advantage of the leverage factor.
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§
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To provide limited market downside protection against loss of principal in the event of a decline of the underlying index but
only if the final index value is
greater than or equal to
the trigger level.
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Maturity:
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5 years
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Leverage
factor:
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126.25%
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Trigger
level:
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65% of the initial index value
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Minimum
payment at maturity:
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None. Investors may lose
their entire initial investment in the Trigger PLUS.
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Supplemental
Terms of the Trigger PLUS
For purposes of the accompanying
product supplement, the underlying index is an “Index.”
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Key Investment
Rationale
Trigger PLUS offer leveraged exposure to an underlying asset,
which may be equities, commodities and/or currencies, while providing limited protection against negative performance of the underlying
asset. In exchange for enhanced returns from any positive performance of the underlying asset, investors are exposed to the risk
of loss or some or all of their investment due to the trigger feature. At maturity, if the underlying asset has appreciated, investors
will receive the stated principal amount of their investment plus leveraged upside performance of the underlying asset. At maturity,
if the underlying asset has depreciated but is at or above the trigger level, investors will receive the stated principal amount
of their investment. At maturity, if the underlying asset has depreciated below the trigger level, investors are fully exposed
to the negative performance of the underlying asset.
Investors may lose some or all of the stated principal amount of the Trigger
PLUS.
Leveraged
Performance
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The Trigger PLUS offer investors an opportunity to capture enhanced returns for any of positive performance relative to a direct investment in the underlying index.
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Trigger
Feature
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At maturity, even if the underlying index has declined over the term of the Trigger PLUS, investors will receive their stated principal amount but only if the final index value is
greater than or equal to
the trigger level.
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Upside
Scenario
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The underlying index increases in value and, at maturity, the Trigger PLUS pay the stated principal amount of $10 plus a return equal to 126.25% of the index percent increase.
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Par
Scenario
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The final index value is less than or equal to the initial index value but is greater than or equal to the trigger level. In this case, the Trigger PLUS pay the stated principal amount of $10 per Trigger PLUS at maturity even when the underlying index has depreciated.
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Downside
Scenario
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The final index value is less than the trigger level. In this case, the Trigger PLUS pay an amount that is over 35% less than the stated principal amount and this decrease will be by an amount that is proportionate to the percentage decline of the final index value from the initial index value. (Example: if the underlying index decreases in value by 40%, the Trigger PLUS will pay an amount that is less than the stated principal amount by 40%, or $6 per Trigger PLUS.)
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JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
How the Trigger
PLUS Work
Payoff
Diagram
The payoff diagram below illustrates the payment at maturity
on the Trigger PLUS based on the following terms:
Stated
principal amount:
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$10 per Trigger PLUS
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Leverage
factor:
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126.25%
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Trigger
level
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65% of the initial index value
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Trigger
PLUS Payoff Diagram
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How it works
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§
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Upside
Scenario.
Under the terms of the Trigger PLUS, if the final index value is greater than the initial index value, for
each $10 principal amount Trigger PLUS investors will receive the $10 stated principal amount
plus
a return equal to 126.25%
of the appreciation of the underlying index over the term of the Trigger PLUS.
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§
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For example, if the underlying index appreciates 5%, investors will receive a 6.3125% return, or $10.63125 per Trigger PLUS.
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§
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Par
Scenario.
If the final index value is less than or equal to the initial index value but is greater than or equal to
the trigger level, investors will receive the stated principal amount of $10 per Trigger PLUS.
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§
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For example, if the underlying index depreciates 5%, investors will receive the $10 stated principal amount.
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§
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Downside
Scenario.
If the final index value is less than the trigger level, investors will receive an amount that is significantly
less than the stated principal amount by an amount proportionate to the percentage decrease of the final index value from the
initial index value.
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§
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For example, if the underlying index depreciates 50%, investors will lose 50% of their principal and receive only $5.00 per
Trigger PLUS at maturity, or 50% of the stated principal amount.
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The hypothetical returns and hypothetical
payments on the Trigger PLUS shown above apply
only if you hold the Trigger PLUS for their entire term.
These hypotheticals
do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were
included, the hypothetical returns and hypothetical payments shown above would likely be lower.
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Risk Factors
The following
is a non-exhaustive list of certain key risk factors for investors in the Trigger PLUS.
For further discussion of
these and other risks, you should read the sections entitled “Risk Factors” of the accompanying product supplement
and the accompanying underlying supplement. We urge you to consult your investment, legal, tax, accounting and other advisers in
connection with your investment in the Trigger PLUS.
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§
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Trigger
PLUS do not pay interest or guarantee the return of any principal and your investment in the Trigger PLUS may result in a loss.
The terms of the Trigger PLUS differ from those of ordinary debt securities in that the Trigger PLUS do not pay interest
or guarantee the payment of any principal amount at maturity. If the final index value is less than the trigger level (which is
65% of the initial index value), the payment at maturity will be an amount in cash that is over 35% less than the stated principal
amount of each Trigger PLUS, and this decrease will be by an amount that is proportionate to the decrease in the value of the
underlying index and may be zero. There is no minimum payment at maturity on the Trigger PLUS, and, accordingly, you could lose
your entire initial investment in the Trigger PLUS.
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§
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The
Trigger PLUS are subject to the credit risks of JPMorgan Financial and JPMorgan Chase & Co., and any actual or anticipated
changes to our or JPMorgan Chase & Co.’s credit ratings or credit spreads may adversely affect the market value of the
Trigger PLUS.
Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on
the Trigger PLUS. Any actual or anticipated decline in our or JPMorgan Chase & Co.’s credit ratings or increase in our
or JPMorgan Chase & Co.’s credit spreads determined by the market for taking that credit risk is likely to adversely
affect the market value of the Trigger PLUS. If we and JPMorgan Chase & Co. were to default on our payment obligations, you
may not receive any amounts owed to you under the Trigger PLUS and you could lose your entire investment.
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§
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As a finance subsidiary, JPMorgan Financial has no independent operations
and has limited assets.
As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond
the issuance and administration of our securities. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially
all of our assets relate to obligations of our affiliates to make payments under loans made by us or other intercompany agreements.
As a result, we are dependent upon payments from our affiliates to meet our obligations under the Trigger PLUS. If these affiliates
do not make payments to us and we fail to make payments on the Trigger PLUS, you may have to seek payment under the related guarantee
by JPMorgan Chase & Co., and that guarantee will rank
pari passu
with all other unsecured and unsubordinated obligations
of JPMorgan Chase & Co.
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§
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Economic interests of the issuer, the guarantor, the calculation agent, the agent of the offering of the Trigger PLUS and
other affiliates of the issuer may be different from those of investors.
We
and our affiliates play a variety of roles in connection with the issuance of the Trigger PLUS, including acting as calculation
agent and as an agent of the offering of the Trigger PLUS, hedging our obligations under the Trigger PLUS and making the assumptions
used to determine the pricing of the Trigger PLUS and the estimated value of the Trigger PLUS, which we refer to as the estimated
value of the Trigger PLUS. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic
interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the
Trigger PLUS. The calculation agent has determined the initial index value and the trigger level, will determine the final index
value and will calculate the amount of payment you will receive at maturity, if any. Determinations made by the calculation agent,
including with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor to the underlying
index or calculation of the final index value in the event of a discontinuation or material change in method of calculation of
the underlying index, may affect the payment to you at maturity.
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In addition, JPMorgan Chase &
Co. is currently one of the companies that make up the underlying index. JPMorgan Chase & Co. will not have any obligation
to consider your interests as a holder of the Trigger PLUS in taking any corporate action that might affect the value of the underlying
index or the Trigger PLUS.
Moreover,
our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan
Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the Trigger PLUS and
the value of the Trigger PLUS. It is possible that hedging or trading activities of ours or our affiliates in connection with the
Trigger PLUS could result in substantial returns for us or our affiliates while the value of the Trigger PLUS declines. Please
refer to
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
“Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for
additional information about these risks.
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§
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The benefit provided by the trigger level may terminate on the valuation
date.
If the final index value is less than the trigger level, the benefit provided
by the trigger level will terminate and you will be fully exposed to any depreciation of the underlying index.
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§
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The estimated value of the Trigger PLUS is lower than the original
issue price (price to public) of the Trigger PLUS.
The estimated value of the Trigger PLUS
is only an estimate determined by reference to several factors. The original issue price of the Trigger PLUS exceeds the estimated
value of the Trigger PLUS because costs associated with selling, structuring and hedging the Trigger PLUS are included in the original
issue price of the Trigger PLUS. These costs include the selling commissions, the structuring fee, the projected profits, if any,
that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Trigger PLUS and the estimated
cost of hedging our obligations under the Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated
value of the Trigger PLUS” in this document.
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§
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The estimated value of the Trigger PLUS does not represent future
values of the Trigger PLUS and may differ from others’ estimates. The estimated value of the Trigger PLUS is determined by
reference to internal pricing models of our affiliates.
This estimated value of the Trigger
PLUS is based on market conditions and other relevant factors existing at the time of pricing and assumptions about market parameters,
which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could
provide valuations for the Trigger PLUS that are greater than or less than the estimated value of the Trigger PLUS. In addition,
market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future
dates, the value of the Trigger PLUS could change significantly based on, among other things, changes in market conditions, our
or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the
price, if any, at which JPMS would be willing to buy Trigger PLUS from you in secondary market transactions. See “Additional
Information about the Trigger PLUS — The estimated value of the Trigger PLUS” in this document.
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§
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The estimated value of the Trigger PLUS is derived by reference
to an internal funding rate.
The internal funding rate used in the determination of the estimated
value of the Trigger PLUS may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity
issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’
view of the funding value of the Trigger PLUS as well as the higher issuance, operational and ongoing liability management costs
of the Trigger PLUS
in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase
& Co
.
This internal funding rate is based
on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market
replacement funding rate for the Trigger PLUS. The use of an internal funding rate and any potential changes to that rate may have
an adverse effect on
the terms of the Trigger PLUS
and any secondary market prices of the Trigger PLUS. See “Additional Information about the Trigger PLUS — The estimated
value of the Trigger PLUS” in this document.
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§
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The value of the Trigger PLUS as published by JPMS (and which may
be reflected on customer account statements) may be higher than the then-current estimated value of the Trigger PLUS for a limited
time period.
We generally expect that some of the costs included in the original issue price
of the Trigger PLUS will be partially paid back to you in connection with any repurchases of your Trigger PLUS by JPMS in an amount
that will decline to zero over an initial predetermined period. These costs can include selling commissions, the structuring fee,
projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding
rates for structured debt issuances. See “Additional Information about the Trigger PLUS — Secondary market prices of
the Trigger PLUS” in this document for additional information relating to this initial period. Accordingly, the estimated
value of your Trigger PLUS during this initial period may be lower than the value of the Trigger PLUS as published by JPMS (and
which may be shown on your customer account statements).
|
§
|
Secondary market prices of the Trigger PLUS will likely be lower than the original issue price of the Trigger PLUS
.
Any secondary market prices of the Trigger PLUS will likely be lower than the original issue price of the Trigger PLUS
because, among other things, secondary market prices take into account our internal secondary market funding rates for structured
debt issuances and, also, because secondary market prices may exclude selling commissions and the structuring fee, projected hedging
profits, if any,
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
and estimated hedging costs that are included in the original issue price of the Trigger PLUS. As a result, the
price, if any, at which JPMS will be willing to buy Trigger PLUS from you in secondary market transactions, if at all, is likely
to be lower than the original issue price. Any sale by you prior to the maturity date could result in a substantial loss to you.
See the immediately following risk factor for information about additional factors that will impact any secondary market prices
of the Trigger PLUS.
|
The Trigger PLUS are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Trigger PLUS to maturity. See “—
Secondary trading may be limited” below.
|
§
|
Secondary market prices of the Trigger PLUS will be impacted by
many economic and market factors.
The secondary market price of the Trigger PLUS during their term will be impacted
by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions,
structuring fee, projected hedging profits, if any, estimated hedging costs and the closing level of the underlying index, including:
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|
○
|
any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads;
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○
|
customary bid-ask spreads for similarly sized trades;
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○
|
our internal secondary market funding rates for structured debt issuances;
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○
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the actual and expected volatility of the underlying index;
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|
○
|
the time to maturity of the Trigger PLUS;
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○
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the dividend rates on the equity securities included in the underlying index;
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○
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interest and yield rates in the market generally; and
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○
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a variety of other economic, financial, political, regulatory and judicial events.
|
Additionally, independent pricing
vendors and/or third party broker-dealers may publish a price for the Trigger PLUS, which may also be reflected on customer account
statements. This price may be different (higher or lower) than the price of the Trigger PLUS, if any, at which JPMS may be willing
to purchase your Trigger PLUS in the secondary market.
|
§
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Investing in the Trigger PLUS is not equivalent to investing in
the underlying index.
Investing in the Trigger PLUS is not equivalent to investing in the
underlying index or its component stocks. Investors in the Trigger PLUS will not have voting rights or rights to receive dividends
or other distributions or any other rights with respect to the stocks that constitute the underlying index.
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§
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Adjustments to the underlying index could adversely affect the value
of the Trigger PLUS.
The underlying index publisher may discontinue or suspend calculation
or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion
to substitute a successor index that is comparable to the discontinued underlying index and is not precluded from considering indices
that are calculated and published by the calculation agent or any of its affiliates.
|
|
§
|
Hedging and trading activities by the issuer and its affiliates could potentially affect the value of the
Trigger
PLUS
.
The hedging or trading activities of the issuer’s affiliates and of any other hedging counterparty with
respect to the
Trigger PLUS on or prior to the pricing
date and prior to maturity could have adversely affected, and may continue to adversely affect, the value of the underlying index
and, as a result, could decrease the amount an investor may receive on the Trigger PLUS at maturity, if any. Any of these hedging
or trading activities
on or prior to the pricing date could have affected the initial index value and the trigger level
and, therefore, could potentially increase the level that the final index value must reach before you receive a payment at maturity
that exceeds the issue price of the
Trigger PLUS or
so that you do not suffer a loss on your initial investment in the Trigger PLUS
. Additionally, these hedging or trading
activities during the term of the
Trigger PLUS
,
including on the valuation date, could adversely affect the final index value and, accordingly, the payment to you at maturity,
if any. It is possible that these hedging or trading activities could result in substantial returns for us or our affiliates while
the value of the Trigger PLUS declines.
|
§
|
Secondary
trading may be limited.
Th
e Trigger PLUS will not be listed on a securities
exchange. There may be little or no secondary market for the Trigger PLUS. Even if there is a secondary market, it may not
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
provide enough liquidity to allow you to trade or sell the Trigger PLUS easily
.
JPMS
may act as a market maker for the Trigger PLUS, but is not required to do so. Because we do not expect that other market
makers will participate significantly in the secondary market for the Trigger PLUS, the price at which you may be able to trade
your Trigger PLUS is likely to depend on the price, if any, at which
JPMS
is willing to buy the Trigger PLUS. If at any time
JPMS
or another agent does not act as a market maker, it is likely that there would be little or no secondary market for the Trigger
PLUS.
|
|
§
|
The tax consequences of an investment in the Trigger PLUS are uncertain.
There is no direct legal authority as to the
proper U.S. federal income tax characterization of the Trigger PLUS, and we do not intend to request a ruling from the IRS. The
IRS might not accept, and a court might not uphold, the treatment of the Trigger PLUS described in “Additional Information
about the Trigger PLUS ― Additional Provisions ― Tax considerations” in this document and in “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement. If the IRS were successful in asserting an
alternative treatment for the Trigger PLUS, the timing and character of any income or loss on the Trigger PLUS could differ materially
and adversely from our description herein. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the
U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular
on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments
on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors
such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or
should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the Trigger PLUS, possibly with retroactive effect.
You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying
product supplement and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Trigger
PLUS, including possible alternative treatments and the issues presented by this notice.
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
S&P
500
®
Index Overview
The S&P 500
®
Index, which is calculated,
maintained and published by S&P Dow Jones Indices LLC, consists of stocks of 500 companies selected to provide a performance
benchmark for the U.S. equity markets. For additional information about the S&P 500
®
Index, see the information
set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.
Information as of market close on May 15, 2019:
Bloomberg
Ticker Symbol:
|
SPX
|
Current
Closing Level:
|
2,850.96
|
52
Weeks Ago (on 5/15/2018):
|
2,711.45
|
52
Week High (on 4/30/2019):
|
2,945.83
|
52
Week Low (on 12/24/2018):
|
2,351.10
|
The following table sets forth the published high and low
closing levels, as well as end-of-quarter closing levels, of the underlying index for each quarter in the period from January 1,
2014 through May 15, 2019. The graph following the table sets forth the daily closing levels of the underlying index during the
same period. The closing level of the underlying index on May 15, 2019 was 2,850.96. We obtained the closing level information
above and in the table and graph below from the Bloomberg Professional
®
service (“Bloomberg”), without
independent verification. The historical levels of the underlying index should not be taken as an indication of future performance,
and no assurance can be given as to the closing level of the underlying index on the valuation date. The payment of dividends on
the stocks that constitute the underlying index are not reflected in its closing level and, therefore, have no effect on the calculation
of the payment at maturity.
S&P
500
®
Index
|
High
|
Low
|
Period
End
|
2014
|
|
|
|
First
Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second
Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third
Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth
Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First
Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second
Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third
Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth
Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First
Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second
Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third
Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth
Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First
Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second
Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third
Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth
Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First
Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second
Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third
Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth
Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First
Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second
Quarter (through May 15, 2019)
|
2,945.83
|
2,811.87
|
2,850.96
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
S&P
500
®
Index Historical Performance – Daily Closing Levels*
January
1, 2014 to May 15, 2019
|
|
*The dotted line in the graph indicates the trigger level, equal to 65% of the initial index value.
|
License Agreement.
“Standard & Poor’s
®
,”
“S&P
®
,” “S&P 500
®
” and “Standard & Poor’s 500”
are trademarks of Standard & Poor’s Financial Services LLC and have been licensed for use by JPMorgan Chase & Co.
and its affiliates, including JPMorgan Financial. See “Equity Index Descriptions — The S&P U.S. Indices —
License Agreement” in the accompanying underlying supplement.
Additional
Information about the Trigger PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional
Provisions:
|
Postponement
of maturity date:
|
If the
scheduled maturity date is not a business day, then the maturity date will be the following business day. If the
scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date
is postponed and falls less than three business days prior to the scheduled maturity date, the maturity date of the Trigger
PLUS will be postponed to the third business day following the valuation date as postponed.
|
Minimum
ticketing size:
|
$1,000 / 100 Trigger
PLUS
|
Trustee:
|
Deutsche Bank Trust Company Americas (formerly
Bankers Trust Company)
|
Calculation
agent:
|
JPMS
|
The
estimated value of the Trigger PLUS:
|
The estimated
value of the Trigger PLUS set forth on the cover of this document is equal to the sum of the values of the following hypothetical
components: (1) a fixed-income debt component with the same maturity as the Trigger PLUS, valued using the internal funding
rate described below, and (2) the derivative or derivatives underlying the economic terms of the Trigger PLUS. The estimated
value of the Trigger PLUS does not represent a minimum price at which JPMS would be willing to buy your Trigger PLUS in
any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated
value of the Trigger PLUS may differ from the market-implied funding rate for vanilla fixed income instruments of a similar
maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our
and our affiliates’ view of the funding value of the Trigger PLUS as well as the higher issuance, operational and
ongoing liability management costs of the Trigger PLUS in comparison to those costs for the conventional fixed income
instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions,
which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the
Trigger PLUS. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on
the terms of the Trigger PLUS and any secondary market prices of the
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Trigger
PLUS. For additional information, see “Risk Factors — The estimated value
of the Trigger PLUS is derived by reference to an internal funding rate” in this
document. The value of the derivative or derivatives underlying the economic terms of
the Trigger PLUS is derived from internal pricing models of our affiliates. These models
are dependent on inputs such as the traded market prices of comparable derivative instruments
and on various other inputs, some of which are market-observable, and which can include
volatility, dividend rates, interest rates and other factors, as well as assumptions
about future market events and/or environments. Accordingly, the estimated value of the
Trigger PLUS on the pricing date is based on market conditions and other relevant factors
and assumptions existing at that time. See “Risk Factors — The estimated
value of the Trigger PLUS does not represent future values of the Trigger PLUS and may
differ from others’ estimates” in this document.
The
estimated value of the Trigger PLUS is lower than the original issue price of the Trigger
PLUS because costs associated with selling, structuring and hedging the Trigger PLUS
are included in the original issue price of the Trigger PLUS. These costs include the
selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring
fee, the projected profits, if any, that our affiliates expect to realize for assuming
risks inherent in hedging our obligations under the Trigger PLUS and the estimated cost
of hedging our obligations under the Trigger PLUS. Because hedging our obligations entails
risk and may be influenced by market forces beyond our control, this hedging may result
in a profit that is more or less than expected, or it may result in a loss. A portion
of the profits, if any, realized in hedging our obligations under the Trigger PLUS may
be allowed to other affiliated or unaffiliated dealers, and we or one or more of our
affiliates will retain any remaining hedging profits. See “Risk Factors —
The estimated value of the Trigger PLUS is lower than the original issue price (price
to public) of the Trigger PLUS” in this document.
|
Secondary
market prices of the Trigger PLUS:
|
For
information about factors that will impact any secondary market prices of the Trigger PLUS, see “Risk Factors —
Secondary market prices of the Trigger PLUS will be impacted by many economic and market factors” in this document.
In addition, we generally expect that some of the costs included in the original issue price of the Trigger PLUS will
be partially paid back to you in connection with any repurchases of your Trigger PLUS by JPMS in an amount that will decline
to zero over an initial predetermined period that is intended to be the shorter of two years and one-half of the stated term
of the Trigger PLUS. The length of any such initial period reflects the structure of the Trigger PLUS, whether
our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Trigger
PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value
of the Trigger PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the
then-current estimated value of the Trigger PLUS for a limited time period.”
|
Tax
considerations:
|
You
should review carefully the section entitled “Material U.S. Federal Income Tax Consequences”
in the accompanying product supplement no. MS-1-I. The following discussion, when read in
combination with that section, constitutes the full opinion of our special tax counsel, Davis
Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning
and disposing of the Trigger PLUS.
Based on
current market conditions, in the opinion of our special tax counsel, your Trigger PLUS should be treated as “open
transactions” that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material
U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions
That Are Not Debt Instruments” in the accompanying product supplement. Assuming this treatment is respected, the
gain or loss on your Trigger PLUS should be treated as long-term capital gain or loss if you hold your Trigger PLUS for
more than a year, whether or not you are an initial purchaser of Trigger PLUS at the issue price. However, the IRS or
a court may not respect this treatment of the Trigger PLUS, in which case the timing and character of any income or loss
on the Trigger PLUS could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of
their investment. It also asks for comments on a number of related topics, including the character of income or loss with
respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should
be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose
a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the Trigger PLUS, possibly with retroactive effect. You
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
should
consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Trigger PLUS, including possible
alternative treatments and the issues presented by this notice.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions
to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in
the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally, a recent IRS notice
excludes from the scope of Section 871(m) instruments issued prior to January 1, 2021 that do not have a delta of one with respect
to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying
Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m)
should not apply to the Trigger PLUS with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the
IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances,
including whether you enter into other transactions with respect to an Underlying Security. You should consult your tax
adviser regarding the potential application of Section 871(m) to the Trigger PLUS.
Withholding
under legislation commonly referred to as “FATCA” may (if the Trigger PLUS
are recharacterized as debt instruments) apply to amounts treated as interest paid with
respect to the Trigger PLUS, as well as to payments of gross proceeds of a taxable disposition,
including redemption at maturity, of a Trigger PLUS, although under recently proposed
regulations (the preamble to which specifies that taxpayers are permitted to rely on
them pending finalization), no withholding will apply to payments of gross proceeds (other
than any amount treated as interest). You should consult your tax adviser regarding the
potential application of FATCA to the Trigger PLUS.
|
Supplemental
use of proceeds and hedging:
|
The
Trigger PLUS are offered to meet investor demand for products that reflect the risk-return
profile and market exposure provided by the Trigger PLUS. See “How the Trigger PLUS
Work” in this document for an illustration of the risk-return profile of the Trigger
PLUS and “S&P 500
®
Index Overview” in this document for a
description of the market exposure provided by the Trigger PLUS.
The original issue
price of the Trigger PLUS is equal to the estimated value of the Trigger PLUS plus the selling commissions paid to JPMS
and other affiliated or unaffiliated dealers and the structuring fee, plus (minus) the projected profits (losses) that
our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Trigger PLUS, plus the
estimated cost of hedging our obligations under the Trigger PLUS.
|
Benefit
plan investor considerations:
|
See “Benefit
Plan Investor Considerations” in the accompanying product supplement.
|
Supplemental
plan of distribution:
|
Subject
to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase
the Trigger PLUS in the secondary market, but is not required to do so.
JPMS,
acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives
from us to Morgan Stanley Wealth Management. In addition, Morgan Stanley Wealth Management
will receive a structuring fee as set forth on the cover of this document for each Trigger
PLUS.
We or our affiliate
may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties
in connection with the sale of the Trigger PLUS and JPMS and/or an affiliate may earn additional income as a result of
payments pursuant to the swap or related hedge transactions. See “— Supplemental use of proceeds and hedging”
above and “Use of Proceeds and Hedging” in the accompanying product supplement.
We expect that
delivery of the Trigger PLUS will be made against payment for the Trigger PLUS on or about the original issue date set
forth on the front cover of this document, which will be the third business day following the pricing date of the Trigger
PLUS (this settlement cycle being referred to as “T+3”). Under Rule 15c6-1 of the Securities Exchange Act
of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the
parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade Trigger PLUS on any date prior
to two business days before delivery will be required to specify an alternate settlement cycle at the time of any such
trade to prevent a failed settlement and should consult their own advisors.
|
JPMorgan Chase Financial Company LLC
Trigger PLUS Based on the Value of the S&P 500
®
Index due May 20, 2024
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Validity
of the Trigger PLUS and the guarantee:
|
In
the opinion of Davis Polk & Wardwell LLP, as special products counsel to JPMorgan Financial and JPMorgan Chase & Co.,
when the Trigger PLUS offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated
by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Trigger PLUS will be
valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation
of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and
similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided
that such
counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent
conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s
obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws
of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company
Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution
and delivery of the indenture and its authentication of the Trigger PLUS and the validity, binding nature and enforceability
of the indenture with respect to the trustee, all as stated in the letter of such counsel dated March 8, 2018, which was filed
as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on March 8, 2018.
|
Contact:
|
Morgan Stanley Wealth
Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices
at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326).
|
Where
you can find more information:
|
You
should read this document together with the accompanying prospectus, as supplemented by the
accompanying prospectus supplement relating to our Series A medium-term notes of which these
Trigger PLUS are a part, and the more detailed information contained in the accompanying
product supplement and the accompanying underlying supplement.
This document, together
with the documents listed below, contains the terms of the Trigger PLUS and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, stand-alone fact sheets, brochures or other educational
materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors”
sections of the accompanying product supplement and the accompanying underlying supplement, as the Trigger PLUS involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the Trigger PLUS.
You may access these
documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the
relevant date on the SEC website):
• Product
supplement no. MS-1-I dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004523/dp87526_424b2-ms1i.pdf
• Underlying
supplement no. 1-I dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004514/crt_dp87766-424b2.pdf
• Prospectus
supplement and prospectus, each dated April 5, 2018:
http://www.sec.gov/Archives/edgar/data/19617/000095010318004508/dp87767_424b2-ps.pdf
Our Central Index Key,
or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document,
“we,” “us,” and “our” refer to JPMorgan Financial.
“Performance
Leveraged Upside Securities
SM
” and “PLUS
SM
” are service marks of Morgan Stanley.
|
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